Differentiating Through a Quadratic Cone Program

[JonasBreuling]

First of all thanks for your great library. I'm interested in computing the sensitivity of the solution of a quadratic cone complemenarity problem with respect to a parameter as proposed in a paper. Are there any plans to add this to the qoco solver? Is this even possible with the existing code?

[govindchari]

First of all thanks for your great library. I'm interested in computing the sensitivity of the solution of a quadratic cone complemenarity problem with respect to a parameter as proposed in a paper. Are there any plans to add this to the qoco solver? Is this even possible with the existing code?

I can look into it but may not have time in the near future as I am wrapping up some of the GPU backend for QOCO.

[JonasBreuling]

Thanks alot. I think they most important part is to get access to the decomposition of the KKT system internally used by the interior point solver. Since I have only a very simple parameter dependence this might be sufficient.